Skip to content

LinearRegressionRSquared

Summary

The Linear Regression R Squared is used to confirm the strength of the market trend.

Remarks

A higher value of R-Squared means that the stronger the trend.

Signature

1
public abstract interface LinearRegressionRSquared

Namespace

cAlgo.API.Indicators

Properties

Name Description
Result { get; } The Result Series of the Linear Regression R Squared indicator.

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
 private LinearRegressionRSquared rSquared;
 protected override void OnStart()
 {
     // initialize rSquared indicator
     rSquared = Indicators.LinearRegressionRSquared(Source, Period);
 }
 protected override void OnTick()
 {
     Print("{0}", rSquared.Result.LastValue);
 }
 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
 using cAlgo.API;
 using cAlgo.API.Indicators;
 using cAlgo.API.Internals;
 namespace cAlgo.Robots
 {
     // This sample cBot shows how to use the Linear Regression R Squared indicator
     [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
     public class LinearRegressionRSquaredSample : Robot
     {
         private double _volumeInUnits;
         private LinearRegressionRSquared _linearRegressionRSquared;
         private SimpleMovingAverage _simpleMovingAverage;
         private ExponentialMovingAverage _exponentialMovingAverage;
         [Parameter("Volume (Lots)", DefaultValue = 0.01)]
         public double VolumeInLots { get; set; }
         [Parameter("Stop Loss (Pips)", DefaultValue = 10)]
         public double StopLossInPips { get; set; }
         [Parameter("Take Profit (Pips)", DefaultValue = 10)]
         public double TakeProfitInPips { get; set; }
         [Parameter("Label", DefaultValue = "Sample")]
         public string Label { get; set; }
         public Position[] BotPositions
         {
             get
             {
                 return Positions.FindAll(Label);
             }
         }
         protected override void OnStart()
         {
             _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
             _linearRegressionRSquared = Indicators.LinearRegressionRSquared(Bars.ClosePrices, 20);
             _simpleMovingAverage = Indicators.SimpleMovingAverage(_linearRegressionRSquared.Result, 10);
             _exponentialMovingAverage = Indicators.ExponentialMovingAverage(Bars.ClosePrices, 20);
         }
         protected override void OnBar()
         {
             if (Bars.ClosePrices.Last(1) > _exponentialMovingAverage.Result.Last(1) && Bars.ClosePrices.Last(2) <= _exponentialMovingAverage.Result.Last(2))
             {
                 ClosePositions(TradeType.Sell);
                 if (_linearRegressionRSquared.Result.Last(1) > _simpleMovingAverage.Result.Last(1))
                 {
                     ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
                 }
             }
             else if (Bars.ClosePrices.Last(1) < _exponentialMovingAverage.Result.Last(1) && Bars.ClosePrices.Last(2) >= _exponentialMovingAverage.Result.Last(2))
             {
                 ClosePositions(TradeType.Buy);
                 if (_linearRegressionRSquared.Result.Last(1) > _simpleMovingAverage.Result.Last(1))
                 {
                     ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
                 }
             }
         }
         private void ClosePositions(TradeType tradeType)
         {
             foreach (var position in BotPositions)
             {
                 if (position.TradeType != tradeType) continue;
                 ClosePosition(position);
             }
         }
     }
 }

Last update: July 1, 2022

Comments